EFFICIENT DETRENDING IN COINTEGRATING REGRESSION

DOI10.1017/S0266466699154033zbMath0985.62077WikidataQ127770852 ScholiaQ127770852MaRDI QIDQ4512737

Peter C. B. Phillips, Zhijie Xiao

Publication date: 23 May 2002

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

Monte Carlounit roots test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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